I've never been too sure about the reason for that. I see the old GPO cables even had substantial shielding and indeed armour, but is it that the signal on that wire is more susceptible to RFI than the other side of the Router?
Some of the wires I've seen going to BT wall sockets have been very poor. Indeed, many years ago I wired my house for multiple phone extensions with not a thought of one day having computers fed by them. Now I come to think of it, I recall rewiring some of them for that very reason.
It's just that the wire I've borrowed looks like a twisted pair, but each part is only c 2mm. I'm not sure how much protection that's offering and I doubt our local Guru would like me doing an exploratory section.